///报单通知
void CTraderSpi::OnRtnOrder(CThostFtdcOrderField *pOrder)
{
std::cout << "--->>> " << "OnRtnOrder" << std::endl;
if (IsMyOrder(pOrder))
{
if (IsTradingOrder(pOrder))
ReqOrderAction(pOrder);
else if (pOrder->OrderStatus == THOST_FTDC_OST_Canceled)
std::cout << "--->>> 撤单成功" << std::endl;
}
}
UINT IfEntry(LPVOID pParam){
IfInData * data = (IfInData*)pParam;
CThostFtdcInputOrderField req;
memset(&req, 0, sizeof(req));
///经纪公司代码
strcpy(req.BrokerID, BROKER_ID);
///投资者代码
strcpy(req.InvestorID, INVESTOR_ID);
///合约代码
strcpy(req.InstrumentID, INSTRUMENT_ID);
///报单引用
//strcpy(req.OrderRef, ORDER_REF);
sprintf(req.OrderRef,"%d",data->orf);
///用户代码
// TThostFtdcUserIDType UserID;
///报单价格条件: 限价
req.OrderPriceType = THOST_FTDC_OPT_LimitPrice;
///买卖方向:
if(data->isbuy){
req.Direction = THOST_FTDC_D_Buy;
}
else{
req.Direction = THOST_FTDC_D_Sell;
}
///组合开平标志: 开仓
if(!data->isflat){
req.CombOffsetFlag[0] = THOST_FTDC_OF_Open;
}
else{
req.CombOffsetFlag[0] = THOST_FTDC_OF_Close;
}
///组合投机套保标志
req.CombHedgeFlag[0] = THOST_FTDC_HF_Speculation;
///价格
::EnterCriticalSection(&g_IfPrice);
if(!data->isbuy){
req.LimitPrice = ifBid1 - 150.0;
#ifdef _debug
req.LimitPrice = ifAsk1 + 3;
#endif
}
else{
req.LimitPrice = ifAsk1 + 150.0;
#ifdef _debug
req.LimitPrice = ifBid1 - 3;
#endif
}
::LeaveCriticalSection(&g_IfPrice);
///数量: 1
req.VolumeTotalOriginal = data->numif;
///有效期类型: 当日有效
req.TimeCondition = THOST_FTDC_TC_GFD;
///GTD日期
// TThostFtdcDateType GTDDate;
///成交量类型: 任何数量
req.VolumeCondition = THOST_FTDC_VC_AV;
///最小成交量: 1
req.MinVolume = 1;
///触发条件: 立即
req.ContingentCondition = THOST_FTDC_CC_Immediately;
///止损价
// TThostFtdcPriceType StopPrice;
///强平原因: 非强平
req.ForceCloseReason = THOST_FTDC_FCC_NotForceClose;
///自动挂起标志: 否
req.IsAutoSuspend = 0;
///业务单元
// TThostFtdcBusinessUnitType BusinessUnit;
///请求编号
// TThostFtdcRequestIDType RequestID;
///用户强评标志: 否
req.UserForceClose = 0;
std::vector<CThostFtdcOrderField> orderRes;
std::map<CString,std::vector<CThostFtdcOrderField>>::iterator iOrderRtn;
std::map<CString,std::vector<CThostFtdcTradeField>>::iterator iTradeRtn;
std::vector<CThostFtdcOrderField>::iterator iOrderRtnVec;
std::vector<CThostFtdcTradeField>::iterator iTradeRtnVec;
CThostFtdcInputOrderActionField reqNew = {'0','0',0,'0',0,0,0,'0','0','0','0',0,0,'0','0'};//命令动作新的修改
CThostFtdcOrderField orderOld;
CString thisSysId;//系统编号，作为已成交合约的识别码
CString thisRef(req.OrderRef);
double valueTraded = 0;//成交总价值
bool isBreakIn = false;//是否因为cancel命令提前终止消息循环
int volumeTraded = 0;
int endVolumeThisTrade = 0;
SYSTEMTIME sys;
while(true){
GetLocalTime(&sys);
if(sys.wHour == 9 && sys.wMinute <= 14){
//9:15前不下单，等待
continue;
}
else{
break;
}
}
::EnterCriticalSection(&REQUEST_ID_IF);
int iResult = pUserApi->ReqOrderInsert(&req, ++iRequestID);
endVolumeThisTrade = req.VolumeTotalOriginal;
::LeaveCriticalSection(&REQUEST_ID_IF);
int lastpos = -1;//命令返回消息队列已经处理的位置
while(true){
//消息返回处理
int size = 0;
SwitchToThread();
::EnterCriticalSection(&ifDealRtn);
iOrderRtn = ifOrderRtn.find(thisRef);
if(iOrderRtn != ifOrderRtn.end() && iOrderRtn->second.size() != 0){//证明里边已经有了消息
//if(iOrderRtn->second.size() != 0){
size = iOrderRtn->second.size();
for(int k = 0/*lastpos + 1*/;k < size;k++){
iOrderRtnVec = iOrderRtn->second.begin() + k;
orderOld = *iOrderRtnVec;//获取返回的报单命令,状态会不停变化，取到队列末尾，取最新的命令
thisSysId = iOrderRtnVec->OrderSysID;//获取报单编号
TRACE("报单引用=%s,报单编号=%s\r\n",iOrderRtnVec->OrderRef,thisSysId);
/*
//不管什么原因，均表示已经traded
if(iOrderRtnVec->VolumeTraded == iOrderRtnVec->VolumeTotalOriginal){
TRACE("%s\r\n","已经成交，但是从OrderRtn返回");
::EnterCriticalSection(&avgPriceOfIf);
valueTraded = valueTraded + iOrderRtnVec->VolumeTraded * iOrderRtnVec->LimitPrice;
avgpIf avg(data->numif,valueTraded / data->numif);
avgPriceIf.push_back(avg);
::LeaveCriticalSection(&avgPriceOfIf);
//删除键值
ifOrderRtn.erase(iOrderRtn);
TRACE("准备脱离ifDealRtn临界区\r\n");
::LeaveCriticalSection(&ifDealRtn);
delete (IfInData*)pParam;
return 0;
}
*/
//如果取消,重新下单
if(iOrderRtnVec->OrderStatus == THOST_FTDC_OST_Canceled){
endVolumeThisTrade = endVolumeThisTrade - (iOrderRtnVec->VolumeTotalOriginal - iOrderRtnVec->VolumeTraded);
//删除键值
//ifOrderRtn.erase(iOrderRtn);
/*
isBreakIn = true;
break;//终止内循环
*/
}
}
/*
if(isBreakIn){
isBreakIn = false;
lastpos = -1;//重新设置
::LeaveCriticalSection(&ifDealRtn);
continue;
}
*/
//lastpos = size - 1;
//iOrderRtn->second.clear();//清空就可以从0头开始检索
::LeaveCriticalSection(&ifDealRtn);
//}
}
else{
//还没生成消息队列，表示指令还未生效，返回继续搜索队列
::LeaveCriticalSection(&ifDealRtn);
TRACE("%s\r\n","还没生成消息队列,返回");
continue;
}
//成交返回处理
::EnterCriticalSection(&ifDealRtn);
if(endVolumeThisTrade == 0){
return 0;
}
else{
iTradeRtn = ifTradeRtn.find(thisSysId);
//证明已经有成交信息返回
if(iTradeRtn != ifTradeRtn.end()){
for(iTradeRtnVec = iTradeRtn->second.begin();iTradeRtnVec != iTradeRtn->second.end();iTradeRtnVec++){
TRACE("%s报单编号是%s\r\n","成交,从TradeRtn返回,",iTradeRtn->second.begin()->OrderSysID);
::EnterCriticalSection(&avgPriceOfIf);
valueTraded = valueTraded + iTradeRtnVec->Price * iTradeRtnVec->Volume;
volumeTraded = volumeTraded + iTradeRtnVec->Volume;
if(volumeTraded == data->numif){//全部成交
avgpIf avg(volumeTraded,valueTraded / volumeTraded);
avgPriceIf.push_back(avg);
::LeaveCriticalSection(&avgPriceOfIf);
//删除键值
ifTradeRtn.erase(iTradeRtn);
ifOrderRtn.erase(iOrderRtn);
::LeaveCriticalSection(&ifDealRtn);
return 0;
}
::LeaveCriticalSection(&avgPriceOfIf);
}
iTradeRtn->second.clear();//将成交数组清空
}
}
::LeaveCriticalSection(&ifDealRtn);
if(volumeTraded == endVolumeThisTrade && endVolumeThisTrade < data->numif){//本次成交结束,但是还没有全部成交,需要重新下单
TRACE("%s\r\n","重新下单");
::EnterCriticalSection(&g_IfPrice);
if(req.Direction == THOST_FTDC_D_Buy){//BUY
req.LimitPrice = ifBid1;
#ifdef _debug
req.LimitPrice = ifBid1;
#endif
}
else{//SELL
req.LimitPrice = ifAsk1;
#ifdef _debug
req.LimitPrice = ifAsk1;
#endif
}
::LeaveCriticalSection(&g_IfPrice);
req.VolumeTotalOriginal = data->numif - endVolumeThisTrade;
endVolumeThisTrade = data->numif;//重新设置
::EnterCriticalSection(&ODREF);
iNextOrderRef++;
TThostFtdcOrderRefType orderRefNew;
sprintf(orderRefNew,"%d", iNextOrderRef);
::LeaveCriticalSection(&ODREF);
strcpy(req.OrderRef,orderRefNew);
thisRef = CString(orderRefNew);
::EnterCriticalSection(&REQUEST_ID_IF);
int iResult = pUserApi->ReqOrderInsert(&req, ++iRequestID);
::LeaveCriticalSection(&REQUEST_ID_IF);
}
//如果价格发生不利变化，取消订单
UpdateTrade.Lock(INFINITE);//等待同步事件击发
::EnterCriticalSection(&g_IfPrice);
if((req.Direction == THOST_FTDC_D_Buy && req.LimitPrice < ifBid1) ||//买
(req.Direction == THOST_FTDC_D_Sell && req.LimitPrice > ifAsk1)){//卖
if (IsTradingOrder(&orderOld)){
TRACE("%s\r\n","改单动作，删除");
ReqOrderAction(&orderOld,reqNew);
}
}
::LeaveCriticalSection(&g_IfPrice);
}
delete (IfInData*)pParam;
return iResult;
}
